Lewis & Short

ēheu, interj., an interjection of pain or grief, ah! alas! Plaut. Capt. 1, 2, 49; 5, 3, 18; id. Trin. 2, 4, 102; id. Mil. 4, 8, 32 al.; Ter. Heaut. 1, 1, 31; id. Hec. 1, 1, 17; id. Phorm. 1, 4, 10.
Often followed by quam: eheu, quam ego nunc totus displiceo mihi, Ter. Heaut. 5, 4, 20; Hor. S. 1, 3, 66. (The epic and lyric poets have everywhere ēheu; and hence many moderns, partly in accordance with better MSS., read everywhere heu heu; cf. Burmann, Voss, Wagner, and Ribbeck, Verg. E. 2, 58; also Forbig. ad loc.; Hand Turs. 2, 358 sq.; Sillig Cat. p. 283; Huschk. Tib. II. p. 711; Fea and Keller, Hor. C. 1, 15, 9; but in ib. 1, 35, 33, and 2, 14, 1 al. the best editions have ēheu.)